Prediction of Gaussian Volterra Processes with Compound Poisson Jumps

Hamidreza Maleki Almani; Foad Shokrollahi; Tommi Sottinen

Prediction of Gaussian Volterra Processes with Compound Poisson Jumps

Probability 2023-10-10 v1

Authors: Hamidreza Maleki Almani , Foad Shokrollahi , Tommi Sottinen

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Abstract

We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.

Keywords

gaussian volterra process compound poisson jumps prediction law

Cite

@article{arxiv.2310.05675,
  title  = {Prediction of Gaussian Volterra Processes with Compound Poisson Jumps},
  author = {Hamidreza Maleki Almani and Foad Shokrollahi and Tommi Sottinen},
  journal= {arXiv preprint arXiv:2310.05675},
  year   = {2023}
}